Year |
A |
B |
1 |
10% |
9% |
2 |
-15% |
16% |
3 |
14% |
-10% |
4 |
13% |
-12% |
5 |
10% |
21% |
6 |
13% |
11% |
7 |
-12% |
14% |
8 |
10% |
-10% |
9 |
10% |
-12% |
10 |
-19% |
21% |
What is the correlation and covariance between these two assets?
A | D = Return-Average Return | D^D | B | D = Return-Average Return | D^D | D(A)*D(B) | |||
0.1 | 0.066 | 0.004356 | 0.09 | 0.042 | 0.001764 | 0.002772 | |||
-0.15 | -0.184 | 0.033856 | 0.16 | 0.112 | 0.012544 | -0.02061 | |||
0.14 | 0.106 | 0.011236 | -0.1 | -0.148 | 0.021904 | -0.01569 | |||
0.13 | 0.096 | 0.009216 | -0.12 | -0.168 | 0.028224 | -0.01613 | |||
0.1 | 0.066 | 0.004356 | 0.21 | 0.162 | 0.026244 | 0.010692 | |||
0.13 | 0.096 | 0.009216 | 0.11 | 0.062 | 0.003844 | 0.005952 | |||
-0.12 | -0.154 | 0.023716 | 0.14 | 0.092 | 0.008464 | -0.01417 | |||
0.1 | 0.066 | 0.004356 | -0.1 | -0.148 | 0.021904 | -0.00977 | |||
0.1 | 0.066 | 0.004356 | -0.12 | -0.168 | 0.028224 | -0.01109 | |||
-0.19 | -0.224 | 0.050176 | 0.21 | 0.162 | 0.026244 | -0.03629 | |||
Sum = | 0.34 | 0.15484 | Sum = | 0.48 | 0.17936 | Sum = | -0.10432 | ||
n = [Number of Observations] |
10 | 10 | n = [Number of Observations] |
10 | 10 | n = [Number of Observations] |
10 | ||
Average Return
= [Sum of Returns/n] |
0.034 | Variance
= [Sum of D^D/n] |
0.015484 | Average Return
= [Sum of Returns/n] |
0.048 | Variance
= [Sum of D^D/n] |
0.017936 |
Covariance = [Sum of D(A)*D(B)/n] |
-0.01043 |
Standard
Deviation = [Square Root of Variance] |
0.124435 | Standard
Deviation = [Square Root of Variance] |
0.133925 |
Correlation = Covariance/(Std Dev of A*Std Dev of B) = -0.01043/(0.124435*0.133925) = -0.62586
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